An Introduction to Statistical Extreme Value Theory - IMAGe
An Introduction to Statistical Extreme Value Theory - IMAGe
An Introduction to Statistical Extreme Value Theory - IMAGe
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Fitting a GPD – Choosing a ThresholdAlternatively:Choose the threshold u so that a certain percentage ofthe data lies above it (robust and au<strong>to</strong>matic, but is theapproximation valid?).Tu<strong>to</strong>rial in <strong>Extreme</strong> <strong>Value</strong> <strong>Theory</strong>